Sixth-seeded Tsisipas, 21, beat fifth-seeded Thiem, 25 with the score 6-7 (6-8), 6-2, 7-6 (7-4).
The match, which was held at the O2 Arena in London, lasted 2 hours 36 minutes.
This was the debut of Tsisipas in ATP Finals.
The ATP Finals, in which eight top-ranked players take part, is the fifth most important tennis tournament after the four Grand Slams. Unlike most other tennis tournaments with knock-out system, it consists of a group stage, semifinals, and the final match.